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The Italian Business Cycle: Coincident and Leading Indicators and Some Stylized Facts

Author

Listed:
  • Filippo Altissimo

    (Bank of Italy, Research Department)

  • Domenico J. Marchetti

    (Bank of Italy, Research Department)

  • Gian Paolo Oneto

    (ISTAT)

Abstract

This paper analyses the business cycle properties of 183 time series relevant to the Italian economy. We propose new monthly coincident and leading composite indicators for the Italian business cycle. On the methodological side, the study follows a schema for constructing cyclical indicators on a sound statistical basis, combining the use of traditional NBER methods with that of more recent techniques of cyclical analysis: A number of stylized facts of the Italian business cycle emerge. Among them, money and financial variables are found to lead the cycle, chronologically, by at least one year. US and UK cycles lead the Italian cycle by two to three quarters.

Suggested Citation

  • Filippo Altissimo & Domenico J. Marchetti & Gian Paolo Oneto, 2000. "The Italian Business Cycle: Coincident and Leading Indicators and Some Stylized Facts," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 59(2), pages 147-220, September.
    • Handle: RePEc:gde:journl:gde_v59_n2_p147-220
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    References listed on IDEAS

    as
    1. Panetta, F. & Violi, R., 1999. "Is there an Equity Premium Puzzle in Italy? A Look at Asset Returns, Consumption and Financial Structure Data Over the Last Century," Papers 353, Banca Italia - Servizio di Studi.
    2. Smith, R Todd, 1992. "The Cyclical Behavior of Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(4), pages 413-430, November.
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    More about this item

    Keywords

    business cycles; cyclical indicators; leading indicators; stylized facts;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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